Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0273
Annualized Std Dev 0.1889
Annualized Sharpe (Rf=0%) -0.1447

Row

Daily Return Statistics

Close
Observations 4190.0000
NAs 1.0000
Minimum -0.2099
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0043
Maximum 0.1586
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0119
Skewness -1.6184
Kurtosis 49.2506

Downside Risk

Close
Semi Deviation 0.0090
Gain Deviation 0.0089
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0135
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.7015
Historical VaR (95%) -0.0140
Historical ES (95%) -0.0284
Modified VaR (95%) -0.0127
Modified ES (95%) -0.0127
From Trough To Depth Length To Trough Recovery
2004-08-02 2009-03-09 NA -0.7015 4189 1159 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 0.1 0 0.3 0.1 0.5 0.7 1.8
2005 0.2 0 -0.3 -0.1 0.1 0.2 0.4 0.1 1.2 -0.6 -0.4 0.1 0.8
2006 -0.2 1.6 -0.2 0.2 0.4 -0.4 0.4 0.5 0.2 0.3 0 0.1 2.7
2007 0.3 -0.1 0.5 0.3 0.1 0.2 -1.4 1.8 1.3 -0.1 0.6 0.2 3.7
2008 -0.6 -0.6 1.8 0.3 -0.2 0.5 1.4 -0.5 3.3 0.3 -6.7 1.5 0
2009 1 -1.5 1.9 2.8 0.1 0.8 2.1 -0.8 -0.3 -3.1 -0.1 0 2.8
2010 1.4 2.1 1.4 0.6 1.1 -1.4 -0.4 0.4 1.3 0.9 1.9 -0.2 9.4
2011 0.7 -0.6 0.5 0.8 0.1 -0.3 1.2 1.7 -0.5 -1.3 2.2 -1.4 3.1
2012 -0.3 0.6 1.2 0.7 -1.4 0.3 -0.7 0.2 0.6 0.8 -1.1 -0.3 0.6
2013 0.8 1.6 0 -0.2 -1 -1.4 -0.3 -0.2 0.3 -0.5 0.3 0.5 -0.2
2014 -0.1 0.2 -0.1 -0.1 0.3 -0.6 0.2 -0.9 -0.2 0.3 -0.9 2.1 0.3
2015 -0.5 -0.3 0.3 -0.2 -0.7 1.2 0.3 -0.5 -0.5 -0.6 0 0.3 -1.3
2016 0.2 1.2 -0.2 1 0.2 0.6 -0.7 0.6 -0.7 -0.9 0.3 0.5 2.1
2017 0.4 0.3 0.1 0 0 1.6 -0.1 -0.5 -0.1 0.5 0.9 0.5 3.7
2018 0.1 -0.4 0.4 0.4 0.5 0.1 0.2 -0.2 0.4 0.6 0.1 -0.1 2
2019 0.5 -0.4 0.7 0.2 -1.6 -0.2 -0.5 0.5 0.2 -0.2 0.3 0.6 0.1
2020 -1.1 -2.7 -3.6 -1.1 1.5 0.3 0.3 0.7 -0.1 -0.3 1.5 0 -4.6
2021 1.3 -0.1 -0.3 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-28  15   SPY    110.  0.003     0.0047  -0.0295  -0.0367    0.102  -0.0926   -0.190 <NA>     NA    NA       NA
2 2004-07-29  15   SPY    111.  0.0043    0.0063  -0.0294  -0.0199    0.112  -0.0704   -0.186 <NA>     NA    NA       NA
3 2004-07-30  15.0 SPY    111.  0.00240   0.0173  -0.0322  -0.0089    0.118  -0.0591   -0.177 <NA>     NA    NA       NA
4 2004-08-02  15   SPY    111.  0.0021    0.0213  -0.0166   0.001     0.118  -0.0674   -0.183 <NA>     NA    NA       NA
5 2004-08-03  15.0 SPY    110. -0.0077    0.004   -0.0237  -0.0173    0.119  -0.0843   -0.192 <NA>     NA    NA       NA
6 2004-08-04  15   SPY    110. -0.0001    0.0009  -0.0151  -0.0166    0.119  -0.0878   -0.180 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart